I am not quite sure, Currently I tried only exported one mesh and it didn't quite work because I tried exporting a cloth modified mesh.
Basically you need to have meshes with only the skin modifier (I think as many as you want) and the bones that move everything.
All animations are in the one file (but only one track is exported at a time). (Although if you want multiple animations in the same file you can export them as seperate files and copy/paste the animations into one of the files. (They have a 'Take' header)).
Assuming you use the SkinnedModel pipeline sample from the site (probably the easiest and simplest animation pipeline to use) then you just load in the model, get the animation data from the Tag, StartClip("clip name"), and update the animation player, and then draw.